Paris-Princeton lectures on mathematical finance 2013
Author(s)
Bibliographic Information
Paris-Princeton lectures on mathematical finance 2013
（Lecture notes in mathematics, 2081）
Springer, c2013
- : pbk
Available at / 44 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
: pbkL/N||LNM||2081200026147670
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Note
Other authors: Dan Crisan, Paolo Guasoni, Konstantinos Manolarakis, Johannes Muhle-Karbe, Colm Nee, Philip Protter
Includes references
Description and Table of Contents
Description
The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.
Table of Contents
Preface: Vicky Henderson & Ronnie Sircar.- Philip Protter: A Mathematical Theory of Financial Bubbles.- Fred Espen Benth: Stochastic Volatility and Dependency in Energy Markets - Multi-Factor Modelling.- Paolo Guasoni: Portfolio Choice with Transaction Costs: a User's Guide.- Dan Crisan: Cubature Methods and Applications.
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